Will songs purchased from bandcamp on my mac still transfer to my iphone?

I just got a Mac, and I'm loving the whole "downloading songs on computer puts them directly on your phone" thing. But I have zero idea how that works with things not downloaded from the itunes store. Any help would be super de duper.

It just as the same with Mac iPhone Transfer(third-party program). It allows iPhone users to transfer various files like videos, songs, photos from Mac to their iPhone device.